Umm, I guess so...
If session.use_cookies is on, and you go to one of your pages that uses sessions, and cookies are enabled on your browser, then your server puts a cookie in your browser's cache that has a session identifier in it. So, the server knows that you are session number "123456789abcdef", for example.
Index.dat is the list/index of cookies in the browser cache. If your server sends a cookie, the browser caches it, doesn't it make sense to add that to the list?